Estimating spot volatility with high-frequency financial data

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Zu, Yang and Boswijk, Peter (2014) Estimating spot volatility with high-frequency financial data. Journal of Econometrics, 181 (2). pp. 117-135. ISSN 0304-4076

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Official URL: http://www.sciencedirect.com/science/article/pii/S0304407614000608

Abstract

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the

scale parameter and the bandwidth parameter in the estimator. In Monte Carlo simulations, we compare the finite sample performance of our estimator with some existing estimators. Empirical examples are given to illustrate the potential applications of the estimator.

Item Type:	Article
RIS ID:	https://nottingham-repository.worktribe.com/output/994900
Keywords:	Spot volatility; Market microstructure noise; Subsampling; Scale selection; Bandwidth selection
Schools/Departments:	University of Nottingham, UK > Faculty of Social Sciences > School of Economics
Identification Number:	10.1016/j.jeconom.2014.04.001
Depositing User:	Zu, Yang
Date Deposited:	13 Sep 2017 10:54
Last Modified:	04 May 2020 20:13
URI:	https://eprints.nottingham.ac.uk/id/eprint/45839

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